no you don't have to, it just prolongs the life of your engine.
they don't need to be changed, just cleaned with petrol/degreaser and refitted.
if it has never been cleaned it can be holding metal shavings and possibly other stuff too (rubber, gearbox teeth etc)
if it is blocked up, it can cause your oil pump to fail, or no oil circulation to you head, valves and bearings etc etc.
this is a filter screen from a bike i serviced a couple of months ago.
this is what it started out looking like when it was new